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master's thesis
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Options on Cryptocurrency Market
Nikolina Romić (2018)
Josip Juraj Strossmayer University of Osijek
Department of Mathematics
Chair of Pure Mathematics
Probability and Mathematical Statistics Research Group
Metadata
TitleOpcije na tržištima kriptovaluta
AuthorNikolina Romić
Mentor(s)Nenad Šuvak (thesis advisor)
Abstract
Rad se bazira na primjeni teorije o opcijama i načina vrednovanja opcija na tržištu kriptovaluta. Predstavljena je potrebna teorijska podloga o vanilla opcijama te barijernim opcijama. U radu je analiziran portfelj koji je sastavljen od kriptovaluta i novca položenog u banku. Dalje su predstavljene pretpostavke koje trebaju biti zadovoljene kako bi se teorijski zaključci mogli primijeniti na promatrani portfelj. Nakon pokazivanja kako nema opravdane sumnje u zadovoljavanje pretpostavki, premije za opcije su se u primjerima računale koristeći Black - Sholes - Mertonovu formulu te analogon te formule za barijerne opcije. Prokomentirani su neki mogući slučajevi dodatne zarade i kontrole rizika te su sklopljena dva scenarij uz korištenje opcija na tržištu kriptovaluta; jedan primjenom samo vanilla opcija i drugi koji primjenjuje barijerne opcije.
Keywordscryptocurrencies Black - Sholes - Mertonova formula Bitcoin options Ether options Dash options Iota options barrier options knock-out options knock-in options up options down options put options call options
Parallel title (English)Options on Cryptocurrency Market
Committee MembersMirta Benšić (committee chairperson)
Nenad Šuvak (committee member)
Danijel Grahovac (committee member)
GranterJosip Juraj Strossmayer University of Osijek
Department of Mathematics
Lower level organizational unitsChair of Pure Mathematics
Probability and Mathematical Statistics Research Group
PlaceOsijek
StateCroatia
Scientific field, discipline, subdisciplineNATURAL SCIENCES
Mathematics
Probability Theory and Statistics
Study programme typeuniversity
Study levelgraduate
Study programmeMathematics; specializations in: Financial and Statistical Mathematics, Mathematics and Computer Science, Industrial and Applied Mathematics
Study specializationFinancial and Statistical Mathematics
Academic title abbreviationmag.math.
Genremaster's thesis
Language Croatian
Defense date2018-11-23
Parallel abstract (English)
This work is focused on application of option theory and evaluating options on cryptocurrency market. Necessary theoretical results about vanilla options and barrier options are presented. Further is analyzed portfolio which is compound of cryptocurrencies and money in the bank. There are few assumptions that need to be satisfied for application of theoretical results on analyzed portfolio. Those assumptions are all satisfied so price of the options can be measured using the Black - Sholes - Merton formula. Similar formula is presented and applied for barrier options also. Some ways and examples of risk control and making extra profit are suggested and two scenarios of using options on cryptocurrency market are presented. One of which uses only vanilla options and the other one which uses barrier options.
Parallel keywords (Croatian)kriptovalute Black - Sholes - Mertonova formula opcije za Bitcoin opcije za Ether opcije za Dash opcije za Iotu barijerne opcije knock-out opcije knock-in opcije up opcije down opcije put opcije call opcije
Resource typetext
Access conditionOpen access
Terms of usehttp://rightsstatements.org/vocab/InC/1.0/
URN:NBNhttps://urn.nsk.hr/urn:nbn:hr:126:705560